Rename the downloaded PP5022.MI4 file (if you downloaded a file ending in .zip, extract the contents) to firmware.mi4 (case sensitive).

Save the firmware.mi4 file onto the 16MB-FORMAT drive that appears in My Computer on Windows, and on the Desktop on Linux (and possibly Mac)

Repeat for the bootloader, downloading the latest non-Hebrew bootloader (can be found in the Manual Firmware Download thread, linked above), renaming it to pribootLoader.rom which must also be saved onto the 16MB-FORMAT drive.

Disconnect the Sansa. The Sansa's screen should say that it is writing the firmware image, followed by the bootloader.

Check to see if the Hebrew firmware is removed. If it is not, repeat these steps.
Done